Are you trying to build a little .swf where users can dynamically record themselves and hear it played back? That would be interesting to see.
If you're just looking to get your recorded voice into a movie or game or some such, I'd recommend using a simple audio mixer to record and edit your voice, then loading that file into your library as a sound asset. Audacity, is a pretty nice, Open Source freeware app that's always worked for me.
One thing that can be really annoying about recording yourself is that, unless your computer has a built in mic (which may or may not be decent quality), you might also need a preamp to connect your mic to the computer. I found that out the hard way when I couldn't hear any of my recordings. Cheap ones go for $20-30, decent ones go a bit higher.
As to your question about file type, my understanding is that you can put any file type you want INTO flash (.wav, .wmp, etc). Flash will play them as is during development, no problem. When you publish the project, it converts all sounds to .mp3 to save its player some confusion. The only thing to keep an eye on are your publishing settings (File-->Publish Settings). Under the Flash tab, there are options to control image and sound quality. Click on 'Set' to change the sound quality. If you find you're getting really huge .swf file sizes, try dropping the sound quality several notches.